Davide Delle Monache : Citation Profile

Banca d'Italia

9

H index

9

i10 index

200

Citations

RESEARCH PRODUCTION:

9

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2006 - 2024). See details.
   Cites by year: 11
   Journals where Davide Delle Monache has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 9 (4.31 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde480
   Updated: 2025-05-17    RAS profile: 2024-07-05    
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Relations with other researchers

Works with:

Petrella, Ivan (6)

Busetti, Fabio (4)

Venditti, Fabrizio (3)

Pacella, Claudia (2)

De Polis, Andrea (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Davide Delle Monache.

Is cited by:

Koopman, Siem Jan (13)

Ruiz, Esther (9)

Blasques, Francisco (9)

Marcellino, Massimiliano (8)

Petrella, Ivan (8)

Rossi, Barbara (5)

Rodriguez Caballero, Carlos (5)

Gonzalez-Rivera, Gloria (5)

Venditti, Fabrizio (5)

Huber, Florian (4)

Neri, Stefano (4)

Cites to:

Koop, Gary (27)

Harvey, Andrew (21)

Giannone, Domenico (20)

Korobilis, Dimitris (20)

Reichlin, Lucrezia (18)

Sargent, Thomas (17)

Pesaran, Mohammad (15)

Koopman, Siem Jan (15)

Watson, Mark (14)

Diebold, Francis (14)

Cogley, Timothy (13)

Main data

Where Davide Delle Monache has published?

Journals with more than one article published# docs
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area5
Questioni di Economia e Finanza (Occasional Papers) / Bank of Italy, Economic Research and International Relations Area3
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Working Paper Series / European Central Bank2

Recent works citing Davide Delle Monache (2025 and 2024)

YearTitle of citing document
2024Asymmetric uncertainty : Nowcasting using skewness in real-time data. (2024). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2024Generating density nowcasts for U.S. GDP growth with deep learning: Bayes by Backprop and Monte Carlo dropout. (2024). , Krist'Of ; Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2405.15579.

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2024Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065.

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2024Some considerations on the Phillips curve after the pandemic. (2024). lo Bello, Salvatore ; Viviano, Eliana. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_842_24.

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2024Accounting for the recent inflation burst in the euro area. (2024). Depalo, Domenico ; lo Bello, Salvatore. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_871_24.

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2024The drivers of inflation dynamics in Italy over the period 2021-2023. (2024). Pacella, Claudia ; delle Monache, Davide. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_873_24.

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2025A high-dimensional GDP-at-risk and Inflation-at-risk for the euro area. (2025). Santi, Matteo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1484_25.

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2024What caused the post-pandemic inflation? Replicating Bernanke and Blanchard (2023) on French data. (2024). LE BIHAN, Hervé ; Aldama, Pierre ; le Gall, Claire. In: Working papers. RePEc:bfr:banfra:967.

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2024Gas price shocks and euro area inflation. (2024). Ferrari Minesso, Massimo ; Adolfsen, Jakob ; Mork, Jente Esther ; van Robays, Ine. In: Working Paper Series. RePEc:ecb:ecbwps:20242905.

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2025The taming of the skew: asymmetric inflation risk and monetary policy. (2025). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20253028.

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2024On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?. (2024). Sola, Martin ; Kenc, Turalay ; Caravello, Tomas E ; Driffill, John. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001118.

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2024Assessing time-varying risk in China’s GDP growth. (2024). Ye, Wuyi ; Jiao, Shoukun ; Lv, Mengdi ; Xu, Jiexin ; Song, Hongmei. In: Economics Letters. RePEc:eee:ecolet:v:242:y:2024:i:c:s016517652400380x.

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2024Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails. (2024). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003500.

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2024Retire: Robust expectile regression in high dimensions. (2024). Wang, Zian ; Zhou, Wen-Xin ; Man, Rebeka ; Tan, Kean Ming. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001537.

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2024Labour at risk. (2024). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: European Economic Review. RePEc:eee:eecrev:v:170:y:2024:i:c:s0014292124001788.

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2024A time-varying skewness model for Growth-at-Risk. (2024). Iseringhausen, Martin. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:229-246.

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2024Reservoir computing for macroeconomic forecasting with mixed-frequency data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1206-1237.

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2024ECB communication sentiments: How do they relate to the economic environment and financial markets?. (2024). Kaminskas, Rokas ; Jurkas, Linas. In: Journal of Economics and Business. RePEc:eee:jebusi:v:131:y:2024:i:c:s0148619524000407.

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2024Inflation at risk in advanced and emerging market economies. (2024). Zampolli, Fabrizio ; Mehrotra, Aaron ; Contreras, Juan ; Banerjee, Ryan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000123.

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2024China’s GDP-at-Risk: Real-Time Monitoring, Risk Tracing, and Macroeconomic Policy Effects. (2024). Gao, Xiang ; Lv, Wenqiang ; Koedijk, Kees G ; Sui, Jianli. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001372.

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2024Gas price shocks and euro area inflation. (2024). Ferrari Minesso, Massimo ; Adolfsen, Jakob ; van Robays, Ine ; Mork, Jente Esther. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:149:y:2024:i:c:s0261560624001700.

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2024Dynamic connectedness of inflation around the world: A time-varying approach from G7 and E7 countries. (2024). Hong, Yun ; Jiang, Yanhui ; Xiao, Xiyue ; Qu, BO. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:111-125.

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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2024). Luciani, Matteo ; Barigozzi, Matteo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-86.

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2024Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk. (2024). Manuel, Ed ; Lloyd, Simon ; Panchev, Konstantin. In: IMF Economic Review. RePEc:pal:imfecr:v:72:y:2024:i:1:d:10.1057_s41308-023-00199-7.

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2024Holding the economy by the tail: analysis of short- and long-run macroeconomic risks. (2024). Libich, Jan ; Franta, Michal. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:4:d:10.1007_s00181-023-02514-7.

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2024Predicting Tail-Risks for the Italian Economy. (2024). Tornese, Tommaso ; Pfarrhofer, Michael ; Marcellino, Massimiliano ; Boeck, Maximilian. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:20:y:2024:i:3:d:10.1007_s41549-025-00106-1.

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2025A survey-based measure of asymmetric macroeconomic risk in the euro area. (2025). Iseringhausen, Martin ; Theodoridis, Konstantinos. In: Working Papers. RePEc:stm:wpaper:68.

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2024Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions. (2024). Huber, Florian ; Pruser, Jan. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:2:p:269-291.

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2024The macroeconomy as a random forest. (2024). Goulet Coulombe, Philippe. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:401-421.

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2025Social Learning and Monetary Policy at the Effective Lower Bound. (2025). Salle, Isabelle ; Grimaud, Alex ; Vermandel, Gauthier ; Arifovic, Jasmina. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:57:y:2025:i:2-3:p:439-475.

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2024The Taming of the Skew : Asymmetric Inflation Risk and Monetary Policy. (2024). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1530.

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Works by Davide Delle Monache:

YearTitleTypeCited
2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach In: CREATES Research Papers.
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2015Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach.(2015) In: Studies in Economics.
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This paper has nother version. Agregated cites: 0		paper
2017Does the ARFIMA really shift? In: CREATES Research Papers.
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2016Adaptive models and heavy tails with an application to inflation forecasting In: BCAM Working Papers.
[Full Text][Citation analysis]		paper26
2017Adaptive models and heavy tails with an application to inflation forecasting.(2017) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 26		article
2016Adaptive models and heavy tails with an application to inflation forecasting.(2016) In: MPRA Paper.
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This paper has nother version. Agregated cites: 26		paper
2014Adaptive Models and Heavy Tails In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper12
2016Adaptive models and heavy tails.(2016) In: Temi di discussione (Economic working papers).
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This paper has nother version. Agregated cites: 12		paper
2016Adaptive models and heavy tails.(2016) In: Bank of England working papers.
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This paper has nother version. Agregated cites: 12		paper
2014Adaptive Models and Heavy Tails.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 12		paper
2015Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]		paper10
2016Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation.(2016) In: Advances in Econometrics.
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This paper has nother version. Agregated cites: 10		chapter
2017Real and financial cycles: estimates using unobserved component models for the Italian economy In: Questioni di Economia e Finanza (Occasional Papers).
[Full Text][Citation analysis]		paper11
2019Real and financial cycles: estimates using unobserved component models for the Italian economy.(2019) In: Statistical Methods & Applications.
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This paper has nother version. Agregated cites: 11		article
2018Financial markets effects of ECB unconventional monetary policy announcements In: Questioni di Economia e Finanza (Occasional Papers).
[Full Text][Citation analysis]		paper9
2023Energy price shocks and inflation in the euro area In: Questioni di Economia e Finanza (Occasional Papers).
[Full Text][Citation analysis]		paper5
2019Domestic and global determinants of inflation: evidence from expectile regression In: Temi di discussione (Economic working papers).
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2021Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*.(2021) In: Oxford Bulletin of Economics and Statistics.
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This paper has nother version. Agregated cites: 8		article
2020The time-varying risk of Italian GDP In: Temi di discussione (Economic working papers).
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2021The time-varying risk of Italian GDP.(2021) In: Economic Modelling.
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This paper has nother version. Agregated cites: 10		article
2020Price dividend ratio and long-run stock returns: a score driven state space model In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper4
2019Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model.(2019) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 4		paper
2020Price dividend ratio and long-run stock returns: a score driven state space model.(2020) In: Working Paper Series.
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This paper has nother version. Agregated cites: 4		paper
2021Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model.(2021) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 4		article
2021Modeling and forecasting macroeconomic downside risk In: Temi di discussione (Economic working papers).
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2020Modeling and Forecasting Macroeconomic Downside Risk.(2020) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 43		paper
2024Modeling and Forecasting Macroeconomic Downside Risk.(2024) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 43		article
2016Adaptive state space models with applications to the business cycle and financial stress In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper10
2017Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity In: Working Paper Series.
[Full Text][Citation analysis]		paper21
2009Computing the mean square error of unobserved components extracted by misspecified time series models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article9
2019Efficient matrix approach for classical inference in state space models In: Economics Letters.
[Full Text][Citation analysis]		article7
2014Adaptive Models and Heavy Tails In: Working Papers.
[Full Text][Citation analysis]		paper5
2006A structural time series approach to modelling multiple and resurgent meat scares in Italy In: Applied Economics.
[Full Text][Citation analysis]		article10

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team